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Monetary policy transmission in the euro area: New evidence from micro data on firms and banks

  • Jean-Bernard Chatelain

    ()

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Andrea Generale

    (Banca d´Italia - Banca d´Italia)

  • Philip Vermeulen

    (ECB - European Central Bank - European Central Bank)

  • Michael Ehrmann

    (ECB - European Central Bank - European Central Bank)

  • Jorge Martínez-Pagés

    (Bank of Spain - Bank of Spain)

  • Andreas Worms

    (Bundesbank - Bundesbank)

This paper presents an overview of the results of a research project on monetary transmission pursued by the Eurosystem, which has analysed micro data on firms and banks in several countries of the euro area in great detail. There is strong empirical support for an interest rate channel working through firm investment. Furthermore, a credit channel can be identified with firm micro data. On the bank side, there is evidence that lending reacts differently to monetary policy according to bank balance sheet characteristics. In particular, banks that have a less liquid asset composition show a stronger loan supply response. This finding may be due to banks drawing on their liquid assets to cushion the effects of monetary policy on their loan portfolio, which is in line with the existence of close relationships between banks and their loan customers.

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File URL: https://halshs.archives-ouvertes.fr/halshs-00119489v2/document
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Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00119489.

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Date of creation: 2003
Date of revision:
Publication status: Published in Journal of the European Economic Association, Wiley, 2003, 1 (2-3), pp.731-742. <10.1162/154247603322391350>
Handle: RePEc:hal:cesptp:halshs-00119489
DOI: 10.1162/154247603322391350
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00119489v2
Contact details of provider: Web page: https://hal.archives-ouvertes.fr/

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  2. Brissimis, Sophocles N. & Kamberoglou, Nicos C. & Simigiannis, George T., 2001. "Is there a bank lending channel of monetary policy in Greece? Evidence from bank level data," Working Paper Series 0104, European Central Bank.
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  8. von Kalckreuth, Ulf, 2001. "Monetary transmission in Germany: New Perspectives on Financial Constraints and Investment Spending," Discussion Paper Series 1: Economic Studies 2001,19, Deutsche Bundesbank, Research Centre.
  9. Anil K Kashyap & Jeremy C. Stein, 1994. "The Impact of Monetary Policy on Bank Balance Sheets," NBER Working Papers 4821, National Bureau of Economic Research, Inc.
  10. Butzen, Paul & Fuss, Catherine & Vermeulen, Philip, 2001. "The interest rate and credit channels in Belgium: An investigation with micro-level firm data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A3-1, International Conferences on Panel Data.
  11. Leonardo Gambacorta, 2001. "Bank-Specific Characteristics and Monetary Policy Transmission: The Case of Italy," Temi di discussione (Economic working papers) 430, Bank of Italy, Economic Research and International Relations Area.
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  13. Simon Gilchrist & Charles Himmelberg, 1998. "Investment, Fundamentals and Finance," NBER Working Papers 6652, National Bureau of Economic Research, Inc.
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  16. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 27-48, Fall.
  17. Chatelain, J-B. & Tiomo, A., 2002. "Investment, the Cost of Capital and Monetary Policy in the Nineties in France: A Panel Data Investigation," Working papers 96, Banque de France.
  18. Valderrama, Maria Teresa, 2001. "Credit channel and investment behaviour in Austria: a micro-econometric approach," Working Paper Series 0108, European Central Bank.
  19. Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
  20. Chirinko, Robert S. & Fazzari, Steven M. & Meyer, Andrew P., 1999. "How responsive is business capital formation to its user cost?: An exploration with micro data," Journal of Public Economics, Elsevier, vol. 74(1), pages 53-80, October.
  21. Patrick Lünnemann & Thomas Mathä, 2002. "Monetary transmission: empirical evidence from Luxembourg firm-level data," BCL working papers 5, Central Bank of Luxembourg.
  22. Loupias, Claire & Savignac, Frédérique & Sevestre, Patrick, 2001. "Monetary policy and bank lending in France: are there asymmetries?," Working Paper Series 0101, European Central Bank.
  23. Gaiotti, Eugenio & Generale, Andrea, 2001. "Does monetary policy have asymmetric effects? A look at the investment decisions of Italian firms," Working Paper Series 0110, European Central Bank.
  24. Oliner, Stephen & Rudebusch, Glenn & Sichel, Daniel, 1995. "New and Old Models of Business Investment: A Comparison of Forecasting Performance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(3), pages 806-26, August.
  25. Peter van Els & Alberto Locarno & Benoît Mojon & Julian Morgan, 2003. "New Macroeconomic Evidence on Monetary Policy Transmission in the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 720-730, 04/05.
  26. Worms, Andreas, 2001. "The reaction of bank lending to monetary policy measures in Germany," Working Paper Series 0096, European Central Bank.
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